It really depends on the kind of song. With a lot of prog I tend to focus on a different instrument every time I listen to the song (vocals are an instrument) in a cycle. Otherwise, being a pianist/keyboardist, I will usually listen to the keyboard line if there is one, or the guitar line if it's particularly good, and think about what how it would function as a keyboard piece.
That considered, I also listen to a lot of music inspired mostly by lyrics. In that case, the vocal line (not to be mistaken with the lyrics) is the most important part of the song, but the lyrics themselves are obviously what I focus on. Although, from time to time, some of the bands I listen to have an amazing bassline on most of their songs and it can split my attention.
I've noticed that if the drums are overly repetitive, or lack that technical touch, I can't enjoy a song at all. When I immerse myself into the rhythm, a dull beat becomes a massive buzzkill. That may make it the most important aspect of a good song for me, but as I tend to notice it last, it doesn't make or break anything straight away.